Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0387 |
| Annualized Std Dev | 0.3222 |
| Annualized Sharpe (Rf=0%) | 0.1203 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3748.0000 |
| NAs | 1.0000 |
| Minimum | -0.1799 |
| Quartile 1 | -0.0083 |
| Median | 0.0010 |
| Arithmetic Mean | 0.0004 |
| Geometric Mean | 0.0002 |
| Quartile 3 | 0.0099 |
| Maximum | 0.1442 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | -0.0003 |
| UCL Mean (0.95) | 0.0010 |
| Variance | 0.0004 |
| Stdev | 0.0203 |
| Skewness | -0.7190 |
| Kurtosis | 7.0815 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0151 |
| Gain Deviation | 0.0133 |
| Loss Deviation | 0.0165 |
| Downside Deviation (MAR=210%) | 0.0193 |
| Downside Deviation (Rf=0%) | 0.0149 |
| Downside Deviation (0%) | 0.0149 |
| Maximum Drawdown | 0.7628 |
| Historical VaR (95%) | -0.0311 |
| Historical ES (95%) | -0.0504 |
| Modified VaR (95%) | -0.0341 |
| Modified ES (95%) | -0.0718 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2011-04-29 | 2020-03-18 | NA | -0.7628 | 2490 | 2236 | NA |
| 2008-03-06 | 2008-10-27 | 2010-09-22 | -0.5708 | 643 | 164 | 479 |
| 2006-05-12 | 2006-06-13 | 2007-11-06 | -0.3523 | 375 | 22 | 353 |
| 2011-01-03 | 2011-01-25 | 2011-02-17 | -0.1309 | 33 | 16 | 17 |
| 2007-11-07 | 2007-12-17 | 2008-01-08 | -0.1081 | 42 | 28 | 14 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2006 | NA | NA | NA | 0.4 | -4.7 | 3.3 | 3 | 0.4 | -0.8 | 1.4 | -0.1 | 0.5 | 3.4 |
| 2007 | 0.7 | -4.1 | 0.7 | -1.1 | 1.9 | -0.4 | 0.7 | 2.5 | -0.1 | -2.5 | -1.4 | 0.3 | -2.9 |
| 2008 | -1.2 | 0 | -2.6 | -4.3 | 1.2 | 3.7 | -1.4 | -1.3 | 4.1 | -1 | -10.3 | 3.5 | -10.1 |
| 2009 | 2.1 | -0.7 | 0.4 | 0.8 | -0.8 | 1.3 | 3.4 | 1 | -2.1 | -2.1 | 3.5 | 0.1 | 6.9 |
| 2010 | 2.9 | 0.2 | 2.3 | 0.7 | -0.1 | -4.2 | 2 | 0.2 | 1.6 | -0.4 | 1.3 | 1.4 | 8 |
| 2011 | 1.7 | 2.3 | 0.2 | -0.8 | -4.9 | -2.5 | -1.4 | 0.2 | -3.5 | -3.3 | -0.4 | -0.5 | -12.4 |
| 2012 | 1.5 | 2.7 | 0.1 | -0.2 | 2.4 | 4 | -2.1 | 4.6 | 0.5 | -0.2 | -2.3 | 0.9 | 12.3 |
| 2013 | 1.1 | 0.3 | -1.2 | -2.6 | -2.5 | -0.2 | -0.9 | -1.7 | -2.3 | -0.1 | 1.5 | -0.7 | -9.1 |
| 2014 | -0.2 | -0.5 | 0.1 | -0.6 | -1.2 | -0.2 | -0.3 | -0.2 | 0.8 | -2 | 6.4 | -3.3 | -1.6 |
| 2015 | 1.8 | 0.2 | 1.9 | 0.3 | 0.1 | -0.9 | -0.1 | -0.4 | 0.2 | -0.5 | 0.5 | -0.2 | 3 |
| 2016 | 0.6 | -0.2 | -2.3 | 1.3 | -0.1 | 4.9 | 0.4 | 1.2 | 0.5 | 2.6 | 0 | -1.4 | 7.5 |
| 2017 | -0.1 | 0.4 | 0.6 | -1.9 | -0.1 | -0.1 | -0.7 | 0.5 | -1.1 | 2.5 | 0.1 | 0.7 | 0.7 |
| 2018 | -0.6 | 0.5 | 0.3 | -0.9 | -0.1 | 0.5 | -0.9 | -0.4 | -0.8 | 3.1 | -0.8 | 0.7 | 0.6 |
| 2019 | -0.9 | -2.9 | -0.2 | -1.9 | 0.4 | -1 | 0.9 | 0.5 | 1.4 | 0 | 0.5 | -0.4 | -3.7 |
| 2020 | 0.8 | -5.7 | -0.2 | -0.4 | 2.6 | -1.1 | 4.1 | -0.3 | 2.1 | 1.3 | 5.9 | -0.8 | 8.1 |
| 2021 | 7.1 | -0.2 | 0.9 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 7.8 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2006-04-28 13.8 SPY 131. 0.0034 0.00240 0.0111 0.0228 0.151 0.432 0.0755 GLD 65.1 0.0338 0.0299
2 2006-05-01 13.9 SPY 130. -0.0081 -0.0039 0.0046 0.0153 0.127 0.419 0.0725 GLD 65.2 0.0011 0.0569
3 2006-05-02 14.4 SPY 131. 0.0075 0.0077 0.0119 0.0304 0.129 0.430 0.0667 GLD 66.6 0.0213 0.0601
4 2006-05-03 13.9 SPY 131. -0.0037 0.0038 0.0089 0.0195 0.123 0.404 0.058 GLD 66.5 -0.0014 0.0441
5 2006-05-04 14 SPY 131. 0.0036 0.0025 0.0061 0.0351 0.118 0.412 0.0444 GLD 67.5 0.0153 0.0718
6 2006-05-05 14.0 SPY 133. 0.0088 0.008 0.0115 0.0495 0.128 0.411 0.0609 GLD 68.0 0.0076 0.0446
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
